Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.13/804236

OpenURL Link
Title
Integration and interdependence of stock and foreign exchange markets: an Australian perspective
Author/Creator
Shamsuddin, Abul F. M.;  Kim, Jae H.
Description
This paper examines the integration of the Australian stock market with its two leading trading partners, the US and Japan. In investigating the extent of integration, this study takes into account the interdependence between foreign exchange rates and stock prices, since exchange rates influence international competitiveness of firms, and, via interest rates, the cost of capital. The results indicate that there was a stable long-run relationship among the Australian, US and Japanese markets prior to the Asian crisis but that this relationship disappeared in the post-Asian crisis period. An analysis of the short-run dynamic linkages among markets suggests that, following the Asian crisis, the US influence on the Australian market diminished while the influence of Japan remained at a modest level. Furthermore, the impulse response analysis indicates only a contemporaneous transmission of shocks from one market to other markets. Confidence intervals for impulse responses are estimated using the bootstrap-after-bootstrap method.
Relation
Journal of International Financial Markets, Institutions and Money Vol. 13, Issue 3, p. 237-254
Publisher Link
http://dx.doi.org/10.1016/S1042-4431(02)00046-X
Date
2003
Publisher
Elsevier BV
Keyword(s)
integration;  Asian crisis;  dynamic linkages
Resource Type
journal article
Identifier
http://hdl.handle.net/1959.13/804236
Identifier
ISSN:1042-4431
Language
eng
Reviewed
Reviewed
40 Visitors 50 Hits 1 Downloads
Save/E-mail Citation
Citation Format
E-mail Address
Subject
"Journal of International Financial Markets, Institutions and Money"
 
OR